Value-at-RiskVaR
0.79
↓
0.006%
from yesterday
Expected ShortfallES
0.98
↓
0.008%
from yesterday
25% Drop Probability25% Drop
1.6%
↓
0.015%
from yesterday
Years Until 25% Drop25% Freq.
62.8years
↑
0.586%
from yesterday
Model RiskModel Risk
1.12
↑
0.006%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.82 | 0.76 | 0.75 | 0.76 | 0.84 | 0.83 | 0.79 | 1.12 |
| ES | 1.09 | 0.88 | 0.86 | 0.87 | 1.07 | 1.13 | 0.98 | 1.32 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
